(1) Background: The aim of the study was to investigate how the COVID-19 pandemic impacted the mental health and quality of life of male and female physical therapy students at the European University of Madrid. (2) Methods: A cross-sectional online survey was conducted including a range of tests capturing different domains: 36-item Short Form Health Survey, six-item state version of the State–Trait Anxiety Inventory, Acceptance and Action Questionnaire, Three Items Loneliness Scale, four-item version of the Perceived Stress Scale, Beck Depression Inventory revised version, and Sleep Quality Numeric Rating Scale. (3) Results: A total of 151 students completed the study, consisting of 78 females and 73 males. Gender differences were observed on most of the domains evaluated. Female participants showed worse levels of general health perception, quality of life, depression symptoms, anxiety, stress, experiential avoidance and psychological inflexibility, sleep quality and loneliness compared to male physical therapy students. (4) Conclusions: The results of this study support the need of psychological interventions as preventive programs in situations such as COVID-19 pandemic. The aims of this study comprise of improving knowledge, awareness, and self-coping strategies or other psychological domains oriented to mitigate the effects of COVID-19 on mental health and health-related quality of life in university students, especially among female ones.